On a statistical analysis of implied data

DOI10.1007/S10690-010-9124-2zbMath1274.91489OpenAlexW2028178267MaRDI QIDQ651380

Hajime Takahashi

Publication date: 13 December 2011

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9124-2

zbMATH Keywords

bootstrapconsistencyasymptotic normalitystatistical modelparametric modeldelta methodpseudo maximum likelihood estimatorimplied default probability

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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• Martingales and stochastic integrals in the theory of continuous trading
• Bootstrap methods: another look at the jackknife
• Note on the Consistency of the Maximum Likelihood Estimate

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